UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED MANAGEMENT
INVESTMENT COMPANIES
Investment Company Act file number 811-21190
-----------------------------
Citigroup Alternative Investments Multi-Adviser Hedge Fund Portfolios LLC
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(Exact name of registrant as specified in charter)
399 Park Avenue, 7th Floor
New York, NY 10043
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(Address of principal executive offices) (Zip code)
Millie Kim, Esq.
CitiGroup Alternative Investments LLC
399 Park Avenue, 7th Floor
New York, NY 10043
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(Name and address of agent for service)
Registrant's telephone number, including area code: (212) 816-4999
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Date of fiscal year end: March 31
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Date of reporting period: September 30, 2004
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Form N-CSR is to be used by management investment companies to file reports with
the Commission not later than 10 days after the transmission to stockholders of
any report that is required to be transmitted to stockholders under Rule 30e-1
under the Investment Company Act of 1940 (17 CFR 270.30e-1). The Commission may
use the information provided on Form N-CSR in its regulatory, disclosure review,
inspection, and policymaking roles.
A registrant is required to disclose the information specified by Form N-CSR,
and the Commission will make this information public. A registrant is not
required to respond to the collection of information contained in Form N-CSR
unless the Form displays a currently valid Office of Management and Budget
("OMB") control number. Please direct comments concerning the accuracy of the
information collection burden estimate and any suggestions for reducing the
burden to Secretary, Securities and Exchange Commission, 450 Fifth Street, NW,
Washington, DC 20549-0609. The OMB has reviewed this collection of information
under the clearance requirements of 44 U.S.C. ss. 3507.
ITEM 1. REPORTS TO STOCKHOLDERS.
The Report to Shareholders is attached herewith.
CITIGROUP ALTERNATIVE INVESTMENTS
MULTI-ADVISER HEDGE FUND PORTFOLIOS LLC - MULTI-STRATEGY SERIES G
SEMI-ANNUAL REPORT
SEPTEMBER 30, 2004
(UNAUDITED)
CITIGROUP ALTERNATIVE INVESTMENTS
MULTI-ADVISER HEDGE FUND PORTFOLIOS LLC - MULTI-STRATEGY SERIES G
STATEMENT OF ASSETS AND LIABILITIES
SEPTEMBER 30, 2004
(UNAUDITED)
- --------------------------------------------------------------------------------
ASSETS
Cash and cash equivalents $ 15,196,606
Investments in investment funds, at fair value (Cost: $172,546,402) 180,726,622
Receivable from investment funds 2,928,711
Other assets 80,898
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TOTAL ASSETS 198,932,837
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LIABILITIES
Contributions received in advance 5,467,150
Redemptions payable 5,747,987
Management fee payable 703,960
Offering costs payable 5,182
Accounts payable and accrued expenses 387,636
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TOTAL LIABILITIES 12,311,915
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MEMBERS' CAPITAL (172,520.805 UNITS OUTSTANDING) $ 186,620,922
===================
NET ASSET VALUE PER UNIT $ 1,081.73
===================
The accompanying notes are an integral part of these financial statements.
-2-
CITIGROUP ALTERNATIVE INVESTMENTS
MULTI-ADVISER HEDGE FUND PORTFOLIOS LLC - MULTI-STRATEGY SERIES G
SCHEDULE OF INVESTMENTS
SEPTEMBER 30, 2004
(UNAUDITED)
- --------------------------------------------------------------------------------
COST FAIR VALUE % OF MEMBERS'
CAPITAL
FIXED INCOME ARBITRAGE
Alliance High Grade Strategy Partners, L.P. - a $ 2,470,000 $ 2,631,463 1.41%
Concordia I, L.P. - a 4,570,000 4,725,565 2.53%
PIMCO Global Relative Value Fund, L.L.C. - b 4,250,000 4,073,729 2.18%
EVENT DRIVEN
Brencourt Multi-Strategy, L.P. - b $ 3,960,000 $ 4,259,190 2.28%
Canyon Value Realization Fund, L.P. - b 5,150,000 5,635,482 3.02%
Centaurus Alpha Fund L.P. - a 5,500,000 5,848,833 3.13%
GoldenTree High Yield Partners, L.P. - b 2,460,000 3,306,358 1.77%
Lydian Partners II, L.P. - b 5,910,000 6,038,634 3.24%
Polaris Vega Investors L.P. - a 3,500,000 3,484,732 1.87%
MW Post Opportunity Fund, L.P. - b 2,000,000 2,589,425 1.38%
Purchase Associates II, L.P. - b 3,360,000 3,470,668 1.86%
Taconic Capital Partners 1.5, L.P. - b 6,922,252 7,225,818 3.87%
West Broadway Partners, L.P. - b 4,370,000 4,223,029 2.26%
EQUITY ARBITRAGE
Frontpoint Utility & Energy, L.P. - b $ 8,000,000 $ 8,375,418 4.49%
Pentangle Partners, L.P. - a 8,468,500 8,521,643 4.57%
SSI Long/Short Equity Market Neutral, L.P. - b 1,708,500 1,644,501 0.88%
DISCRETIONARY
Basswood Opportunity Partners L.P.- b $ 12,000,000 $ 12,340,609 6.61%
Chilton Small Cap Partners, L.P. Class A - c 8,720,000 9,568,737 5.13%
Delta Institutional, L.P. - b 12,100,000 13,970,880 7.49%
North River Partners, L.P. - d 6,720,000 8,022,734 4.30%
North Sound Legacy Institutional, L.L.C. - b 14,000,000 14,390,724 7.71%
Prism Partners I, L.P. - b 12,000,000 12,801,734 6.86%
The Capital Hedge Fund Ltd - a 12,000,000 11,789,224 6.32%
Willow Creek Capital Partners, L.P. - b 6,940,000 7,088,096 3.80%
Woodallen Global Fund L.P. - b 10,000,000 9,232,246 4.95%
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TOTAL INVESTMENTS IN INVESTMENT FUNDS $ 167,079,252 $ 175,259,472 93.91%
SHORT TERM INVESTMENTS
BlackRock PIF Temp Fund $ 5,467,150 $ 5,467,150 2.93%
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TOTAL INVESTMENTS $ 172,546,402 $ 180,726,622 96.84%
OTHER ASSETS, LESS LIABILITIES $ 5,894,300 3.16%
------------------------ ----------------------
MEMBERS' CAPITAL $ 186,620,922 100.00%
======================== ======================
<FN>
Note: Investments in underlying Investment Funds are categorized by investment
strategy.
a - Redemptions permitted monthly
b - Redemptions permitted quarterly
c - Redemptions permitted annually
d - Redemptions permitted semi-annually
</FN>
The accompanying notes are an integral part of these financial statements.
-3-
CITIGROUP ALTERNATIVE INVESTMENTS
MULTI-ADVISER HEDGE FUND PORTFOLIOS LLC - MULTI-STRATEGY SERIES G
STATEMENT OF OPERATIONS
FOR THE PERIOD APRIL 1, 2004 THROUGH SEPTEMBER 30, 2004
(UNAUDITED)
- --------------------------------------------------------------------------------
INVESTMENT INCOME
Interest $ 33,547
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TOTAL INVESTMENT INCOME 33,547
----------------
EXPENSES
Management fees 1,831,344
Administration fees 245,008
Professional fees 75,529
Amortization of offering costs 67,050
Marketing fees 45,880
Custodian fees 7,178
Directors' fees and expenses 12,528
Miscellaneous expenses 22,234
----------------
Total expenses 2,306,751
----------------
Net investment loss (2,273,204)
----------------
Realized and unrealized gain on investments:
Net realized gain on investments 669,743
Net change in unrealized depreciation on investments (543,491)
----------------
Net realized and unrealized gain on investments 126,252
----------------
Decrease in members' capital derived from investment activities $ (2,146,952)
================
The accompanying notes are an integral part of these financial statements.
-4-
CITIGROUP ALTERNATIVE INVESTMENTS
MULTI-ADVISER HEDGE FUND PORTFOLIOS LLC - MULTI-STRATEGY SERIES G
STATEMENTS OF CHANGES IN MEMBERS' CAPITAL
FOR THE PERIODS APRIL 1, 2004 THROUGH SEPTEMBER 30, 2004 AND THE YEAR ENDED
MARCH 31, 2004
(UNAUDITED)
- --------------------------------------------------------------------------------
SIX MONTHS ENDED YEAR ENDED
SEPTEMBER 30, 2004 MARCH 31, 2004
FROM INVESTMENT ACTIVITIES
Net investment loss $ (2,273,204) $ (2,437,028)
Net realized gain on investments 669,743 307,192
Net change in unrealized appreciation (depreciation) on investments (543,491) 8,496,546
------------------ -------------------
INCREASE (DECREASE) IN MEMBERS' CAPITAL
DERIVED FROM INVESTMENT ACTIVITIES (2,146,952) 6,366,710
MEMBERS' CAPITAL TRANSACTIONS
Capital contributions 92,940,851 61,119,628
Capital withdrawals (7,451,259) (2,634,723)
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INCREASE IN MEMBERS' CAPITAL
DERIVED FROM CAPITAL TRANSACTIONS 85,489,592 58,484,905
MEMBERS' CAPITAL AT BEGINNING OF PERIOD 103,278,282 38,426,667
------------------ -------------------
MEMBERS' CAPITAL AT END OF PERIOD ( 172,520.805 AND
93,942.933 UNITS OUTSTANDING AT SEPTEMBER 30, 2004 AND
MARCH 31, 2004, RESPECTIVELY) $ 186,620,922 $ 103,278,282
================== ===================
The accompanying notes are an integral part of these financial statements.
-5-
CITIGROUP ALTERNATIVE INVESTMENTS
MULTI-ADVISER HEDGE FUND PORTFOLIOS LLC - MULTI-STRATEGY SERIES G
STATEMENT OF CASH FLOWS
SIX MONTH ENDED SEPTEMBER 30, 2004
(UNAUDITED)
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CASH FLOWS FROM OPERATING ACTIVITIES
Decrease in members' capital derived from investment activities $ (2,146,952)
Adjustments to reconcile net increase in members' capital derived
from investment activities to net cash used in operating activities:
Increase in investment funds, at fair value (66,617,734)
Increase in receivable from investment funds (2,449,861)
Decrease in receivable from affiliate -
Decrease in other assets 70,592
Increase in management fee payable 508,438
Decrease in offering costs payable (104,450)
Decrease in accounts payable and accrued expenses (106,954)
------------------
NET CASH USED IN OPERATING ACTIVITIES (70,846,921)
CASH FLOWS FROM FINANCING ACTIVITIES
Capital contributions 92,940,851
Capital withdrawals (2,134,305)
Decrease in contributions received in advance (16,603,025)
------------------
NET CASH PROVIDED BY FINANCING ACTIVITIES 74,203,521
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Net increase in cash and cash equivalents 3,356,600
Cash and cash equivalents at beginning of period 11,840,006
------------------
Cash and cash equivalents at end of period $ 15,196,606
==================
<FN>
Supplment non-cash information:
Included in capital withdrawals on the accompanying Statement of Changes in
Members' Capital, are redemptions payable of $5,316,954.
</FN>
The accompanying notes are an integral part of these financial statements.
-6-
CITIGROUP ALTERNATIVE INVESTMENTS
MULTI-ADVISER HEDGE FUND PORTFOLIOS LLC - MULTI-STRATEGY SERIES G
FINANCIAL HIGHLIGHTS
FOR SIX MONTH ENDED SEPTEMBER 30, 2004 AND FOR THE YEAR ENDED MARCH 31, 2004
(UNAUDITED)
- --------------------------------------------------------------------------------
FOR A UNIT OUTSTANDING THROUGHOUT THE PERIOD
SIX MONTHS ENDED YEAR ENDED
SEPTEMBER 30, 2004 MARCH 31, 2004
NET ASSET VALUE, BEGINNING OF PERIOD: $ 1,099.37 $ 995.86
=================== ==================
INCOME FROM INVESTMENT OPERATIONS:
Net investment loss (15.20) (36.19)
Net realized and unrealized gain (loss) on investments (2.44) 139.70
------------------- ------------------
TOTAL FROM INVESTMENT OPERATIONS (17.64) 103.51
------------------- ------------------
NET ASSET VALUE, END OF PERIOD: 1,081.73 $ 1,099.37
=================== ==================
TOTAL RETURN (1.6%) ** 10.39%
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period $ 186,620,922 $ 103,278,282
=================== ==================
Portfolio turnover 4.56% * 21.29%
Ratio of expenses to average net assets 2.82% * 3.43%
Ratio of net investment loss to average net assets (2.78%) * (3.40%)
<FN>
* Annualized.
** Total return for a period of less than a full year is not annualized.
THE ABOVE RATIOS MAY VARY FOR INDIVIDUAL INVESTORS BASED ON THE TIMING OF
CAPITAL TRANSACTIONS DURING THE PERIOD.
</FN>
The accompanying notes are an integral part of these financial statements.
-7-
CITIGROUP ALTERNATIVE INVESTMENTS
MULTI-ADVISER HEDGE FUND PORTFOLIOS LLC - MULTI-STRATEGY SERIES G
NOTES TO FINANCIAL STATEMENTS (UNAUDITED) - SEPTEMBER 30, 2004
- --------------------------------------------------------------------------------
1. ORGANIZATION
Citigroup Alternative Investments Multi-Adviser Hedge Fund Portfolios
LLC ("the Company") was organized as a Delaware Limited Liability
Company on August 16, 2002. The Company is registered under the
Investment Company Act of 1940 (the "1940 Act") as amended, as a
closed-end, non-diversified management investment company. The Company
is also registered under the Securities Act of 1933 ("1933 Act"). The
Company consists of two separate series, Multi-Strategy Series M and
Multi-Strategy Series G (each a "Series"). The financial statements
included herein are for Multi-Strategy Series G. The investment
objective of Multi-Strategy Series G is to achieve capital appreciation
principally through investing in investment funds ("Investment Funds")
managed by third-party investment managers ("Investment Managers") that
employ a variety of alternative investment strategies. These investment
strategies allow Investment Managers the flexibility to use leverage or
short-side positions to take advantage of perceived inefficiencies
across the global markets, often referred to as "alternative"
strategies. Because Investment Funds following alternative investment
strategies are often described as hedge funds, the investment program
of Multi-Strategy Series G can be described as a fund of hedge funds.
Units of Multi-Strategy Series G are sold to eligible investors
(referred to as "Members"). The minimum initial investment in
Multi-Strategy Series G from each Member is $25,000 (and was $50,000
from January 1, 2003 to November 1, 2003); the minimum additional
investment is $10,000.
Citigroup Alternative Investments LLC ("CAI" or "the "Adviser"), a
Delaware limited liability company and indirect, wholly owned
subsidiary of Citigroup Inc., serves as Multi-Strategy Series G's
investment adviser. The Adviser is registered as an investment adviser
under the Investment Advisers Act of 1940, as amended, and, among other
things, is responsible for the allocation of Multi-Strategy Series G's
assets to various Investment Funds. AMACAR Partners, Inc. is the
managing member of Multi-Strategy Series G and has delegated
substantially all authority to oversee the management of the operations
and assets of Multi-Strategy Series G to the Board of Directors.
2. SIGNIFICANT ACCOUNTING POLICIES
Investments in Investment Funds are subject to the terms of the
respective limited partnership agreements, limited liability company
agreements and offering memoranda. Multi-Strategy Series G values these
investments at fair value based on financial data supplied by the
Investment Funds.
A. PORTFOLIO VALUATION
The net asset value of Multi-Strategy Series G is determined as of the
close of business at the end of each month in accordance with the
valuation principles set forth below or as may be determined from time
to time pursuant to policies established by the Board of Directors.
-8-
CITIGROUP ALTERNATIVE INVESTMENTS
MULTI-ADVISER HEDGE FUND PORTFOLIOS LLC - MULTI-STRATEGY SERIES G
NOTES TO FINANCIAL STATEMENTS (UNAUDITED) - SEPTEMBER 30, 2004 (CONTINUED)
- --------------------------------------------------------------------------------
Multi-Strategy Series G's investments in Investment Funds are carried
at fair value as determined by Multi-Strategy Series G's pro-rata
interest in the net assets of each Investment Fund. All valuations
utilize financial information supplied by each Investment Fund and are
net of management and performance incentive fees or other allocations
payable to the Investment Funds' managers as required by the Investment
Funds' agreements. Each Investment Manager to which the Adviser
allocates assets will charge Multi-Strategy Series G, as investor in an
underlying Investment Fund, an asset-based fee, and some or all of the
Investment Managers will receive performance-based compensation in the
form of an incentive fee. The asset-based fees of the Investment
Managers are generally expected to range from 1% to 3% annually of the
net assets under their management and the incentive fee is generally
expected to range from 15% to 25% of net profits annually.
As a general matter, the fair value of Multi-Strategy Series G's
investment in an Investment Fund represents the amount that
Multi-Strategy Series G can reasonably expect to receive from an
Investment Fund if Multi-Strategy Series G's investment were redeemed
at the time of valuation, based on information available at the time.
The Investment Funds provide for periodic redemptions ranging from
monthly to annually. Investment Funds generally require advance notice
of a Member's intent to redeem its interest, and may, depending on the
Investment Funds' governing agreements, deny or delay a redemption
request. Multi-strategy Series G does not take a liquidity discount on
any Investment Funds held. The underlying investments of each
Investment Fund are accounted for at fair value as described in each
Investment Fund's financial statements. The Investment Funds may invest
a portion of their assets in restricted securities and other
investments that are illiquid.
B. FUND EXPENSES
Multi-Strategy Series G bears all expenses incurred in the course of
its operations, including, but not limited to, the following: all costs
and expenses related to portfolio transactions and positions for
Multi-Strategy Series G's account; professional fees; costs of
insurance; registration expenses; and expenses of meetings of the Board
of Directors. Costs incurred in connection with the initial offering
were deferred and amortized over the first twelve months of operations;
costs incurred in connection with Multi-Strategy Series G's subsequent
registration under the 1933 Act have been deferred and are being
amortized over the twelve months commencing after the effective date of
such registration statement.
C. INCOME TAXES
Multi-Strategy Series G currently intends to operate as a partnership
and not as an association or publicly traded partnership taxable as a
corporation for U.S. federal income tax purposes. Each Member will be
required to report on his, her or its own annual tax return the
Member's distributive share of Multi-Strategy Series G's taxable income
or loss.
-9-
CITIGROUP ALTERNATIVE INVESTMENTS
MULTI-ADVISER HEDGE FUND PORTFOLIOS LLC - MULTI-STRATEGY SERIES G
NOTES TO FINANCIAL STATEMENTS (UNAUDITED) - SEPTEMBER 30, 2004 (CONTINUED)
- --------------------------------------------------------------------------------
D. CASH AND CASH EQUIVALENTS
Cash and cash equivalents consist of monies invested in a PNC Bank,
N.A. account that pays money market rates and are accounted for at cost
plus accrued interest.
E. CONTRIBUTIONS RECEIVED IN ADVANCE
Contributions received in advance of $5,467,150 represents
subscriptions received to be credited to Members' capital accounts on
October 1, 2004. Such amount is largely represented within the short
term investments balance as depicted on the accompanying schedule of
investments.
F. USE OF ESTIMATES
The preparation of financial statements in conformity with accounting
principles generally accepted in the United States requires the Adviser
to make estimates and assumptions that affect the amounts reported in
the financial statements and accompanying notes. The Adviser believes
that the estimates utilized in preparing Multi-Strategy Series G's
financial statements are reasonable and prudent; however, actual
results could differ from these estimates.
3. MANAGEMENT FEE, ADMINISTRATIVE FEE, RELATED PARTY TRANSACTIONS AND
OTHER
CAI, as Adviser, provides certain management and administrative
services to Multi-Strategy Series G. CAI acts primarily to evaluate and
select Investment Managers, to allocate assets, to establish and apply
risk management procedures, and to monitor overall investment
performance. In addition, CAI also provides office space and other
support services. In consideration for such services, Multi-Strategy
Series G will pay the Adviser a monthly management fee equal to 0.188%
(2.25% on an annualized basis) of end of month Members' capital. The
Adviser will pay a portion of the fee to its affiliates.
In addition, CAI allocated certain marketing related expenses of
$45,880 to Multi-Strategy Series G during the six months ended
September 30, 2004.
Placement agents may be retained by the Company to assist in the
placement of Units. A placement agent affiliated with the Adviser, will
generally be entitled to receive a fee from each investor in the
Company whose Units the agent places. The specific amount of the
placement fee paid with respect to a Member is generally dependent on
the size of the investment in a Series. Placement agents may also be
reimbursed by the Company with respect to certain out-of-pocket
expenses.
Citigroup Global Markets, Inc. ("CGM"), an affiliate of CAI and a
wholly owned subsidiary of Citigroup, Inc. serves as a placement agent
of the Multi-Strategy Series G Units. For the six months ended
September 30, 2004, CGM earned $766,815 in placement fees on
Multi-Strategy Series G Units. Such fees are deducted from an
investor's gross contribution amount.
-10-
CITIGROUP ALTERNATIVE INVESTMENTS
MULTI-ADVISER HEDGE FUND PORTFOLIOS LLC - MULTI-STRATEGY SERIES G
NOTES TO FINANCIAL STATEMENTS (UNAUDITED) - SEPTEMBER 30, 2004 (CONTINUED)
- --------------------------------------------------------------------------------
The Company has entered into agreements with third parties to act as
additional placement agents for Multi-Strategy Series G Units.
Placement fees may range from 0 to 3%. In addition, the Adviser, and/or
its affiliates, will pay the placement agents an annual fee, payable
monthly in arrears. The fee shall be paid from the Adviser's own
resources (or those of its affiliates).
Multi-Strategy Series G pays CAI a monthly fee of 0.025% (0.30% on an
annualized basis) for administration based primarily upon average net
assets, subject to a minimum monthly fee, and will reimburse certain
expenses. CAI, as Administrator, has retained PFPC Inc. ("PFPC"), an
independent third party and wholly-owned subsidiary of PNC Bank, N.A.,
to assist in the performance of its administrative duties. PFPC
provides certain accounting, record keeping, tax and investor related
services.
Each Director who is not an "interested person" of Multi-Adviser Hedge
Fund Portfolios LLC, as defined by the 1940 Act, receives an annual
retainer of $10,000 plus a fee per meeting of the Board of Directors of
$500. Such Director fees are allocated to each series pro-rata, based
on the relative net assets of each series. Any Director who is an
"interested person" does not receive any annual or other fee from
Multi-Adviser Hedge Fund Portfolios LLC. All Directors are reimbursed
for all reasonable out of pocket expenses. Total amounts expensed
related to Directors by Multi-Strategy Series G for the six months
ended September 30, 2004 were $12,528.
PFPC Trust Company (an affiliate of PNC Bank, N.A.) serves as custodian
of Multi-Strategy Series G's assets and provides custodial services for
Multi-Strategy Series G. Fees payable to the custodian and
reimbursement for certain expenses are paid by Multi-Strategy Series G.
4. SECURITIES TRANSACTIONS
The following table lists the aggregate purchases, proceeds from sales
of Investment Funds, net unrealized appreciation, gross unrealized
appreciation, and gross unrealized depreciation as of September 30,
2004. At September 30, 2004, the cost of investments for Federal income
tax purposes was substantially the same as the cost for financial
reporting purposes.
Period to Date Inception to Date
-------------- -----------------
Aggregate purchases $86,000,000 $185,447,752
Aggregate proceeds from sales $ 2,928,711 $ 19,341,752
Gross unrealized appreciation $ 820,877 $ 9,561,259
Gross unrealized depreciation $ 1,364,368 $ 1,381,039
Net unrealized appreciation (depreciation) $ (543,491) $ 8,180,220
Receivable from investment funds represents partial redemptions as of
September 30, 2004.
-11-
CITIGROUP ALTERNATIVE INVESTMENTS
MULTI-ADVISER HEDGE FUND PORTFOLIOS LLC - MULTI-STRATEGY SERIES G
NOTES TO FINANCIAL STATEMENTS (UNAUDITED) - SEPTEMBER 30, 2004 (CONTINUED)
- --------------------------------------------------------------------------------
5. CONTRIBUTIONS, REDEMPTIONS, AND ALLOCATION OF INCOME
Generally, initial and additional subscriptions for Units may be
accepted as of the first day of each month. CAI has been authorized by
the Board of Directors of the Company to accept or reject any initial
and additional subscriptions for Units in Multi-Strategy Series G. The
Board of Directors from time to time and in its complete and exclusive
discretion, may determine to cause Multi-Strategy Series G to
repurchase Units from Members pursuant to written tenders by members on
such terms and conditions as it may determine. CAI expects that it
typically will recommend to the Board of Directors that the Company
offer to repurchase Units from Members quarterly, on each March 31,
June 30, September 30 and December 31 (or, if any such date is not a
business day, on the immediately preceding business day).
Net profits or net losses of Multi-Strategy Series G for each month-end
will be allocated among and credited to or debited against the capital
accounts of all Members as of the last day of each month in accordance
with the Members' respective investment percentages for the month.
6. FINANCIAL INSTRUMENTS WITH OFF-BALANCE SHEET RISK
In the normal course of business, the Investment Funds in which
Multi-Strategy Series G invests trade various financial instruments and
enter into various investment activities with off-balance sheet risk.
These include, but are not limited to, short selling activities,
writing option contracts and entering into equity swaps.
-12-
CITIGROUP ALTERNATIVE INVESTMENTS
MULTI-ADVISER HEDGE FUND PORTFOLIOS LLC - MULTI-STRATEGY SERIES M
SEMI-ANNUAL REPORT
SEPTEMBER 30, 2004
(UNAUDITED)
CITIGROUP ALTERNATIVE INVESTMENTS
MULTI-ADVISER HEDGE FUND PORTFOLIOS LLC - MULTI-STRATEGY SERIES M
STATEMENT OF ASSETS AND LIABILITIES
SEPTEMBER 30, 2004
(UNAUDITED)
- --------------------------------------------------------------------------------
ASSETS
Cash and cash equivalents $ 4,055,880
Investments in investment funds, at fair value (Cost: $68,264,598) 73,146,328
Receivable from investment funds 2,127,374
Other assets 56,318
------------------
TOTAL ASSETS 79,385,900
------------------
LIABILITIES
Contributions received in advance 1,121,750
Redemptions payable 1,307,160
Management fee payable 255,345
Offering costs payable 5,182
Accounts payable and accrued expenses 227,713
------------------
TOTAL LIABILITIES 2,917,150
------------------
MEMBERS' CAPITAL ( 72,324.720 UNITS OUTSTANDING) $ 76,468,750
==================
NET ASSET VALUE PER UNIT $ 1,057.30
==================
The accompanying notes are an integral part of these financial statements.
-2-
CITIGROUP ALTERNATIVE INVESTMENTS
MULTI-ADVISER HEDGE FUND PORTFOLIOS LLC - MULTI-STRATEGY SERIES M
SCHEDULE OF INVESTMENTS
SEPTEMBER 30, 2004
(UNAUDITED)
- --------------------------------------------------------------------------------
COST FAIR VALUE % OF MEMBERS'
CAPITAL
FIXED INCOME ARBITRAGE
Alliance High Grade Strategy Partners, L.P. - a $ 1,290,000 $ 1,419,054 1.86%
Concordia I, L.P. - a 3,130,000 3,234,940 4.23%
PIMCO Global Relative Value Fund, L.L.C. - b 3,060,000 2,924,528 3.82%
EVENT DRIVEN
Brencourt Multi-Strategy, L.P. - b $ 800,000 $ 949,828 1.24%
Canyon Value Realization Fund, L.P. - b 1,300,000 1,547,042 2.02%
GoldenTree High Yield Partners, L.P. - b 1,350,000 1,832,674 2.40%
Lydian Partners II, L.P. - b 1,300,000 1,434,685 1.88%
MW Post Opportunity Fund L.P. - b 1,280,000 1,663,573 2.17%
Purchase Associates II, L.P. - b 800,000 862,228 1.13%
Taconic Capital Partners 1.5, L.P. - b 2,878,848 3,003,978 3.93%
West Broadway Partners, L.P. - b 800,000 807,861 1.06%
EQUITY ARBITRAGE
Frontpoint Utility & Energy, L.P. - b $ 5,050,000 $ 5,375,892 7.03%
Pentangle Partners, L.P. - a 5,817,000 6,040,527 7.90%
SSI Long/Short Equity Market Neutral, L.P. - b 4,707,000 4,578,051 5.99%
DISCRETIONARY
Basswood Opportunity Partners L.P.- b $ 3,500,000 $ 3,587,487 4.69%
Chilton Small Cap Partners, L.P. Class A - c 3,620,000 4,251,418 5.56%
Delta Institutional, L.P. - b 2,290,000 3,183,433 4.16%
North River Partners, L.P. - d 2,370,000 3,003,562 3.93%
North Sound Legacy Insitutional Fund, L.L.C. - b 4,500,000 4,772,982 6.24%
Prism Partners I, L.P. - b 5,500,000 5,959,112 7.79%
The Capital Hedge Fund Ltd - a 5,500,000 5,410,794 7.08%
Willow Creek Capital Partners, L.P. - b 3,800,000 3,886,460 5.08%
Woodallen Global Fund L.P. - b 2,500,000 2,294,469 3.00%
-----------------------------------------------------------------------------
TOTAL INVESTMENTS IN INVESTMENT FUNDS $ 67,142,848 $ 72,024,578 94.19%
SHORT TERM INVESTMENTS
BlackRock PIF Temp Fund $ 1,121,750 $ 1,121,750 1.47%
-----------------------------------------------------------------------------
TOTAL INVESTMENTS $ 68,264,598 $ 73,146,328 95.66%
OTHER ASSETS, LESS LIABILITIES $ 3,322,422 4.34%
----------------------- ------------------------
MEMBERS' CAPITAL $ 76,468,750 100.00%
======================= ========================
<FN>
Note: Investments in underlying Investment Funds are categorized by investment
strategy.
a - Redemptions permitted monthly
b - Redemptions permitted quarterly
c - Redemptions permitted annually
d - Redemptions permitted semi-annually
</FN>
The accompanying notes are an integral part of these financial statements.
-3-
CITIGROUP ALTERNATIVE INVESTMENTS
MULTI-ADVISER HEDGE FUND PORTFOLIOS LLC - MULTI-STRATEGY SERIES M
STATEMENT OF OPERATIONS
FOR THE PERIOD APRIL 1, 2004 THROUGH SEPTEMBER 30, 2004
(UNAUDITED)
- --------------------------------------------------------------------------------
INVESTMENT INCOME
Interest $ 13,407
----------------
TOTAL INVESTMENT INCOME 13,407
----------------
EXPENSES
Management fees 711,106
Professional fees 58,984
Amortization of offering costs 67,050
Administration fees 107,026
Marketing fees 20,970
Custodian fees 6,274
Directors' fees and expenses 5,521
Miscellaneous expenses 12,505
----------------
Total expenses 989,436
----------------
Net investment loss (976,029)
----------------
Realized and unrealized gain on investments:
Net realized gain on investments 328,161
Net change in unrealized depreciation on investments (335,664)
----------------
Net realized and unrealized loss on investments (7,503)
----------------
Decrease in members' capital derived from investment activities $ (983,532)
================
The accompanying notes are an integral part of these financial statements.
-4-
CITIGROUP ALTERNATIVE INVESTMENTS
MULTI-ADVISER HEDGE FUND PORTFOLIOS LLC - MULTI-STRATEGY SERIES M
STATEMENTS OF CHANGES IN MEMBERS' CAPITAL
FOR THE PERIODS APRIL 1, 2004 THROUGH SEPTEMBER 30, 2004 AND THE YEAR ENDED
MARCH 31, 2004
(UNAUDITED)
- --------------------------------------------------------------------------------
SIX MONTHS ENDED YEAR ENDED
SEPTEMBER 30, 2004 MARCH 31, 2004
FROM INVESTMENT ACTIVITIES
Net investment loss $ (976,029) $ (1,640,455)
Net realized gain on investments 328,161 153,563
Net change in unrealized appreciation (depreciation) on investments (335,664) 5,066,719
------------------ -------------------
DECREASE IN MEMBERS' CAPITAL
DERIVED FROM INVESTMENT ACTIVITIES (983,532) 3,579,827
MEMBERS' CAPITAL TRANSACTIONS
Capital contributions 21,206,681 28,484,025
Capital withdrawals (2,370,566) (1,299,715)
------------------ -------------------
INCREASE IN MEMBERS' CAPITAL
DERIVED FROM CAPITAL TRANSACTIONS 18,836,115 27,184,310
MEMBERS' CAPITAL AT BEGINNING OF PERIOD 58,616,167 27,852,030
------------------ -------------------
MEMBERS' CAPITAL AT END OF PERIOD (72,324.720 AND
54,616.963 UNITS OUTSTANDING AT SEPTEMBER 30, 2004 AND
MARCH 31, 2004 RESPECTIVELY) $ 76,468,750 $ 58,616,167
================== ===================
The accompanying notes are an integral part of these financial statements.
-5-
CITIGROUP ALTERNATIVE INVESTMENTS
MULTI-ADVISER HEDGE FUND PORTFOLIOS LLC - MULTI-STRATEGY SERIES M
STATEMENT OF CASH FLOWS
SIX MONTH ENDED SEPTEMBER 30, 2004
(UNAUDITED)
- --------------------------------------------------------------------------------
CASH FLOWS FROM OPERATING ACTIVITIES
Decrease in members' capital derived from investment activities $ (983,532)
Adjustments to reconcile net increase in members' capital derived
from investment activities to net cash used in operating activities:
Increase in investment funds, at fair value (17,059,636)
Increase in receivable from investment funds (1,818,415)
Decrease in other assets 65,773
Increase in management fee payable 156,701
Decrease in offering costs payable (52,482)
Decrease in accounts payable and accrued expenses (214,664)
------------------
NET CASH USED IN OPERATING ACTIVITIES (19,906,255)
CASH FLOWS FROM FINANCING ACTIVITIES
Capital contributions 21,206,681
Capital withdrawals (1,534,425)
Decrease in contributions received in advance (3,080,450)
------------------
NET CASH PROVIDED BY FINANCING ACTIVITIES 16,591,806
------------------
Net decrease in cash and cash equivalents (3,314,449)
Cash and cash equivalents at beginning of period 7,370,329
------------------
Cash and cash equivalents at end of period $ 4,055,880
==================
Supplment non-cash information:
Included in capital withdrawals on the accompanying Statement of Changes in
Members' Capital, are redemptions payable of $836,141.
The accompanying notes are an integral part of these financial statements.
-6-
CITIGROUP ALTERNATIVE INVESTMENTS
MULTI-ADVISER HEDGE FUND PORTFOLIOS LLC - MULTI-STRATEGY SERIES M
FINANCIAL HIGHLIGHTS
FOR SIX MONTH ENDED SEPTEMBER 30, 2004 AND FOR THE YEAR ENDED MARCH 31, 2004
(UNAUDITED)
- --------------------------------------------------------------------------------
FOR A UNIT OUTSTANDING THROUGHOUT THE PERIOD
SIX MONTHS ENDED YEAR ENDED
SEPTEMBER 30, 2004 MARCH 31, 2004
NET ASSET VALUE, BEGINNING OF PERIOD: $ 1,073.22 $ 993.27
=================== ================
INCOME FROM INVESTMENT OPERATIONS:
Net investment loss (14.59) (34.35)
Net realized and unrealized gain (loss) on investments (1.33) 114.30
------------------- ----------------
TOTAL FROM INVESTMENT OPERATIONS (15.92) 79.95
------------------- ----------------
NET ASSET VALUE, END OF PERIOD: $ 1,057.30 $ 1,073.22
=================== ================
TOTAL RETURN (1.48%) ** 8.05%
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period $ 76,468,750 $ 58,616,167
=================== ================
Portfolio turnover 8.50% * 22.76%
Ratio of expenses to average net assets 2.77% * 3.31%
Ratio of net investment loss to average net assets (2.74%) * (3.28%)
<FN>
* Annualized.
** Total return for a period of less than a full year is not annualized.
THE ABOVE RATIOS MAY VARY FOR INDIVIDUAL INVESTORS BASED ON THE TIMING OF
CAPITAL TRANSACTIONS DURING THE PERIOD.
</FN>
The accompanying notes are an integral part of these financial statements.
-7-
CITIGROUP ALTERNATIVE INVESTMENTS
MULTI-ADVISER HEDGE FUND PORTFOLIOS LLC - MULTI-STRATEGY SERIES M
NOTES TO FINANCIAL STATEMENTS (UNAUDITED) - SEPTEMBER 30, 2004
- --------------------------------------------------------------------------------
1. ORGANIZATION
Citigroup Alternative Investments Multi-Adviser Hedge Fund Portfolios
LLC ("the Company") was organized as a Delaware Limited Liability
Company on August 16, 2002. The Company is registered under the
Investment Company Act of 1940 (the "1940 Act") as amended, as a
closed-end, non-diversified management investment company. The Company
is also registered under the Securities Act of 1933 ("1933 Act"). The
Company consists of two separate series, Multi-Strategy Series M and
Multi-Strategy Series G (each a "Series"). The financial statements
included herein are for Multi-Strategy Series M. The investment
objective of Multi-Strategy Series M is to achieve capital appreciation
principally through investing in investment funds ("Investment Funds")
managed by third-party investment managers ("Investment Managers") that
employ a variety of alternative investment strategies. These investment
strategies allow Investment Managers the flexibility to use leverage or
short-side positions to take advantage of perceived inefficiencies
across the global markets, often referred to as "alternative"
strategies. Because Investment Funds following alternative investment
strategies are often described as hedge funds, the investment program
of Multi-Strategy Series M can be described as a fund of hedge funds.
Units of Multi-Strategy Series M are sold to eligible investors
(referred to as "Members"). The minimum initial investment in
Multi-Strategy Series M from each Member is $25,000 (and was $50,000
from January 1, 2003 to November 1, 2003); the minimum additional
investment is $10,000.
Citigroup Alternative Investments LLC ("CAI", or the "Adviser"), a
Delaware limited liability company and indirect, wholly owned
subsidiary of Citigroup Inc., serves as Multi-Strategy Series M's
investment adviser. The Adviser is registered as an investment adviser
under the Investment Advisers Act of 1940, as amended, and, among other
things, is responsible for the allocation of Multi-Strategy Series M's
assets to various Investment Funds. AMACAR Partners, Inc. is the
managing member of Multi-Strategy Series M and has delegated
substantially all authority to oversee the management of the operations
and assets of Multi-Strategy Series M to the Board of Directors.
2. SIGNIFICANT ACCOUNTING POLICIES
Investments in Investment Funds are subject to the terms of the
respective limited partnership agreements, limited liability company
agreements and offering memoranda. Multi-Strategy Series M values these
investments at fair value based on financial data supplied by the
Investment Funds.
A. PORTFOLIO VALUATION
The net asset value of Multi-Strategy Series M is determined as of the
close of business at the end of each month in accordance with the
valuation principles set forth below or as may be determined from time
to time pursuant to policies established by the Board of Directors.
-8-
CITIGROUP ALTERNATIVE INVESTMENTS
MULTI-ADVISER HEDGE FUND PORTFOLIOS LLC - MULTI-STRATEGY SERIES M
NOTES TO FINANCIAL STATEMENTS (UNAUDITED) - SEPTEMBER 30, 2004 (CONTINUED)
- --------------------------------------------------------------------------------
Multi-Strategy Series M's investments in Investment Funds are carried
at fair value as determined by Multi-Strategy Series M's pro-rata
interest in the net assets of each Investment Fund. All valuations
utilize financial information supplied by each Investment Fund and are
net of management and performance incentive fees or other allocations
payable to the Investment Funds' managers as required by the Investment
Funds' agreements. Each Investment Manager to which the Adviser
allocates assets will charge Multi-Strategy Series M, as investor in an
underlying Investment Fund, an asset-based fee, and some or all of the
Investment Managers will receive performance-based compensation in the
form of an incentive fee. The asset-based fees of the Investment
Managers are generally expected to range from 1% to 3% annually of the
net assets under their management and the incentive fee is generally
expected to range from 15% to 25% of net profits annually.
As a general matter, the fair value of Multi-Strategy Series M's
investment in an Investment Fund represents the amount that
Multi-Strategy Series M can reasonably expect to receive from an
Investment Fund if Multi-Strategy Series M's investment were redeemed
at the time of valuation, based on information available at the time.
The Investment Funds provide for periodic redemptions ranging from
monthly to annually. Investment Funds generally require advance notice
of a Member's intent to redeem its interest, and may, depending on the
Investment Funds' governing agreements, deny or delay a redemption
request. Multi-Strategy Series M does not take a liquidity discount on
any Investment Funds held. The underlying investments of each
Investment Fund are accounted for at fair value as described in each
Investment Fund's financial statements. The Investment Funds may invest
a portion of their assets in restricted securities and other
investments that are illiquid.
B. FUND EXPENSES
Multi-Strategy Series M bears all expenses incurred in the course of
its operations, including, but not limited to, the following: all costs
and expenses related to portfolio transactions and positions for
Multi-Strategy Series M's account; professional fees; costs of
insurance; registration expenses; and expenses of meetings of the Board
of Directors. Costs incurred in connection with the initial offering
were deferred and amortized over the first twelve months of operations;
costs incurred in connection with Multi-Strategy Series M's subsequent
registration under the 1933 Act have been deferred and are being
amortized over the twelve months commencing after the effective date of
such registration statement.
C. INCOME TAXES
Multi-Strategy Series M currently intends to operate as a partnership
and not as an association or publicly traded partnership taxable as a
corporation for U.S. federal income tax purposes. Each Member will be
required to report on his, her or its own annual tax return the
Member's distributive share of Multi-Strategy Series M's taxable income
or loss.
-9-
CITIGROUP ALTERNATIVE INVESTMENTS
MULTI-ADVISER HEDGE FUND PORTFOLIOS LLC - MULTI-STRATEGY SERIES M
NOTES TO FINANCIAL STATEMENTS (UNAUDITED) - SEPTEMBER 30, 2004 (CONTINUED)
- --------------------------------------------------------------------------------
D. CASH AND CASH EQUIVALENTS
Cash and cash equivalents consist of monies invested in a PNC Bank,
N.A. account which pays money market rates and are accounted for at
cost plus accrued interest.
E. CONTRIBUTIONS RECEIVED IN ADVANCE
Contributions received in advance of $1,121,750 represents
subscriptions received to be credited to Members' capital accounts on
October 1, 2004. Such amount is largely represented within the short
term investments balance as depicted in the accompanying schedule of
investments.
F. USE OF ESTIMATES
The preparation of financial statements in conformity with accounting
principles generally accepted in the United States requires the Adviser
to make estimates and assumptions that affect the amounts reported in
the financial statements and accompanying notes. The Adviser believes
that the estimates utilized in preparing Multi-Strategy Series M's
financial statements are reasonable and prudent; however, actual
results could differ from these estimates.
3. MANAGEMENT FEE, ADMINISTRATIVE FEE, RELATED PARTY TRANSACTIONS AND
OTHER
CAI, as Adviser, provides certain management and administrative
services to Multi-Strategy Series M. CAI acts primarily to evaluate and
select Investment Managers, to allocate assets, to establish and apply
risk management procedures, and to monitor overall investment
performance. In addition, CAI also provides office space and other
support services. In consideration for such services, Multi-Strategy
Series M will pay the Adviser a monthly management fee equal to 0.167%
(2.00% on an annualized basis) of end of month Members' capital. The
Adviser will pay a portion of the fee to its affiliates.
In addition, CAI allocated certain marketing related expenses of
$20,970 to Multi-Strategy Series M during the six months ended
September 30, 2004.
Placement agents may be retained by the Company to assist in the
placement of Units. A placement agent affiliated with the Adviser, will
generally be entitled to receive a fee from each investor in the
Company whose Units the Agent places. The specific amount of the
placement fee paid with respect to a Member is generally dependent on
the size of the investment in a Series. Placement agents may also be
reimbursed by the Company with respect to certain out-of-pocket
expenses.
Citigroup Global Markets, Inc. ("CGM"), an affiliate of CAI and a
wholly owned subsidiary of Citigroup, Inc. serves as a placement agent
of the Multi-Strategy Series M Units. For the six months ended
September 30, 2004, CGM earned $226,300 in placement fees on
Multi-Strategy Series M Units. Such fees are deducted from an
investor's gross contribution amount.
-10-
CITIGROUP ALTERNATIVE INVESTMENTS
MULTI-ADVISER HEDGE FUND PORTFOLIOS LLC - MULTI-STRATEGY SERIES M
NOTES TO FINANCIAL STATEMENTS (UNAUDITED) - SEPTEMBER 30, 2004 (CONTINUED)
- --------------------------------------------------------------------------------
The Company has entered into agreements with third parties to act as
additional placement agents for Multi-Strategy Series M Units.
Placement fees may range from 0 to 3%. In addition, the Adviser, and/or
its affiliates, will pay the placement agents an annual fee, payable
monthly in arrears. The fee shall be paid from the Adviser's own
resources (or those of its affiliates).
Multi-Strategy Series M pays CAI a monthly fee of 0.025% (0.30% on an
annualized basis) for administration based primarily upon average net
assets, subject to a minimum monthly fee, and will reimburse certain
expenses. CAI, as Administrator, has retained PFPC Inc. ("PFPC"), an
independent third party and wholly-owned subsidiary of PNC Bank, N.A.,
to assist in the performance of its administrative duties. PFPC
provides certain accounting, record keeping, tax and investor related
services.
Each Director who is not an "interested person" of Multi-Adviser Hedge
Fund Portfolios LLC, as defined by the 1940 Act, receives an annual
retainer of $10,000 plus a fee per meeting of the Board of Directors of
$500. Such Director fees are allocated to each series pro-rata, based
on the relative net assets of each series. Any Director who is an
"interested person" does not receive any annual or other fee from
Multi-Adviser Hedge Fund Portfolios LLC. All Directors are reimbursed
for all reasonable out of pocket expenses. Total amounts expensed
related to Directors by Multi-Strategy Series M for the six months
ended September 30, 2004 were $5,521.
PFPC Trust Company (an affiliate of PNC Bank, N.A.) serves as custodian
of Multi-Strategy Series M's assets and provides custodial services for
Multi-Strategy Series M. Fees payable to the custodian and
reimbursement for certain expenses are paid by Multi-Strategy Series M.
4. SECURITIES TRANSACTIONS
The following table lists the aggregate purchases, proceeds from sales
of Investment Funds, net unrealized appreciation, gross unrealized
appreciation, and gross unrealized depreciation as of September 30,
2004. At September 30, 2004, the cost of investments for Federal income
tax purposes was substantially the same as the cost for financial
reporting purposes.
Period to Date Inception to Date
-------------- -----------------
Aggregate purchases $23,000,000 $81,419,848
Aggregate proceeds from sales $ 2,827,375 $14,756,039
Gross unrealized appreciation $ 205,729 $ 5,440,888
Gross unrealized depreciation $ 541,393 $ 559,158
Net unrealized appreciation (depreciation) $ (335,664) $ 4,881,730
Receivable from investment funds represents partial redemptions as of
September 30, 2004.
-11-
CITIGROUP ALTERNATIVE INVESTMENTS
MULTI-ADVISER HEDGE FUND PORTFOLIOS LLC - MULTI-STRATEGY SERIES M
NOTES TO FINANCIAL STATEMENTS (UNAUDITED) - SEPTEMBER 30, 2004 (CONTINUED)
- --------------------------------------------------------------------------------
5. CONTRIBUTIONS, REDEMPTIONS, AND ALLOCATION OF INCOME
Generally, initial and additional subscriptions for Units may be
accepted as of the first day of each month. CAI has been authorized by
the Board of Directors of the Company to accept or reject any initial
and additional subscriptions for Units in Multi-Strategy Series M. The
Board of Directors from time to time and in its complete and exclusive
discretion, may determine to cause Multi-Strategy Series M to
repurchase Units from Members pursuant to written tenders by Members on
such terms and conditions as it may determine. CAI expects that it
typically will recommend to the Board of Directors that the Company
offer to repurchase Units from Members quarterly, on each March 31,
June 30, September 30 and December 31 (or, if any such date is not a
business day, on the immediately preceding business day).
Net profits or net losses of Multi-Strategy Series M for each month-end
will be allocated among and credited to or debited against the capital
accounts of all Members as of the last day of each month in accordance
with the Members' respective investment percentages for the month.
6. FINANCIAL INSTRUMENTS WITH OFF-BALANCE SHEET RISK
In the normal course of business, the Investment Funds in which
Multi-Strategy Series M invests trade various financial instruments and
enter into various investment activities with off-balance sheet risk.
These include, but are not limited to, short selling activities,
writing option contracts and entering into equity swaps.
-12-
ITEM 2. CODE OF ETHICS.
Not applicable.
ITEM 3. AUDIT COMMITTEE FINANCIAL EXPERT.
Not applicable.
ITEM 4. PRINCIPAL ACCOUNTANT FEES AND SERVICES.
Not applicable.
ITEM 5. AUDIT COMMITTEE OF LISTED REGISTRANTS.
Not applicable.
ITEM 6. SCHEDULE OF INVESTMENTS
Not yet applicable.
ITEM 7. DISCLOSURE OF PROXY VOTING POLICIES AND PROCEDURES FOR CLOSED-END
MANAGEMENT INVESTMENT COMPANIES.
Not applicable.
ITEM 8. PORTFOLIO MANAGERS OF CLOSED-END MANAGEMENT INVESTMENT COMPANIES.
Not yet applicable.
ITEM 9. PURCHASES OF EQUITY SECURITIES BY CLOSED-END MANAGEMENT INVESTMENT
COMPANY AND AFFILIATED PURCHASERS.
Not applicable.
ITEM 10. SUBMISSION OF MATTERS TO A VOTE OF SECURITY HOLDERS.
There have been no material changes to the procedures by which the shareholders
may recommend nominees to the registrant's board of directors, where those
changes were implemented after the registrant last provided disclosure in
response to the requirements of Item 7(d)(2)(ii)(G) of Schedule 14A (17 CFR
240.14a-101), or this Item.
ITEM 11. CONTROLS AND PROCEDURES.
(a) The registrant's principal executive and principal financial officers,
or persons performing similar functions, have concluded that the
registrant's disclosure controls and procedures (as defined in Rule
30a-3(c) under the Investment Company Act of 1940, as amended (the
"1940 Act") (17 CFR 270.30a-3(c))) are effective, as of a date within
90 days of the filing date of the report that includes the disclosure
required by this paragraph, based on their evaluation of these controls
and procedures required by Rule 30a-3(b) under the 1940 Act (17 CFR
270.30a-3(b)) and Rules 13a-15(b) or 15d-15(b) under the Securities
Exchange Act of 1934, as amended (17 CFR 240.13a-15(b) or
240.15d-15(b)).
(b) There were no changes in the registrant's internal control over
financial reporting (as defined in Rule 30a-3(d) under the 1940 Act (17
CFR 270.30a-3(d)) that occurred during the registrant's last fiscal
half-year (the registrant's second fiscal half-year in the case of an
annual report) that has materially affected, or is reasonably likely to
materially affect, the registrant's internal control over financial
reporting.
ITEM 12. EXHIBITS.
(a)(1) Not applicable.
(a)(2) Certifications pursuant to Rule 30a-2(a) under the 1940 Act and
Section 302 of the Sarbanes-Oxley Act of 2002 are attached hereto.
(a)(3) Not applicable.
(b) Not applicable.
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the
Investment Company Act of 1940, the registrant has duly caused this report to be
signed on its behalf by the undersigned, thereunto duly authorized.
Citigroup Alternative Investments Multi-Adviser Hedge Fund
(registrant) Portfolios LLC
----------------------------------------------------------------
By (Signature and Title)* /s/ Janet Holmes
--------------------------------------------------
Janet Holmes, Chief Operating Officer
(principal executive officer)
Date December 9, 2004
---------------------------------------------------------------------------
Pursuant to the requirements of the Securities Exchange Act of 1934 and the
Investment Company Act of 1940, this report has been signed below by the
following persons on behalf of the registrant and in the capacities and on the
dates indicated.
By (Signature and Title)* /s/ Janet Holmes
--------------------------------------------------
Janet Holmes, Chief Operating Officer
(principal executive officer)
Date December 9, 2004
---------------------------------------------------------------------------
By (Signature and Title)* /s/ Patrizia Sanelli
--------------------------------------------------
Patrizia Sanelli, Director - Funds of Hedge Funds
(principal financial officer)
Date November 30, 2004
---------------------------------------------------------------------------
* Print the name and title of each signing officer under his or her signature.